What to do when you get fired

So, three months into my first "real" job, I was fired. Not completely unexpected as my boss had very different expectations about what I would be able to do and we had a meeting a few weeks ago about whether this was working out. However, it is still a surprise to be met on Monday morning with one of two computers taken out of your office and a password that doesn't work...
In any case, I've never been fired from a job before, let alone left any kind of job where I was getting benefits, insurance, etc. so I'm not exactly sure what to do now, other than go back to looking on Monster. I filed for unemployment online last night, so I think that's taken care of, and from what I understood from the HR woman at my job, I have medical insurance until the end of the month, after which I'm eligible for Cobra.
I guess my questions are what to do after you've been let go from a full-time job and how to explain my three-month long employment on my resume or in a cover letter? (And do any of you know anyone in or around Chicago who is looking to hire an asst. editor of some sort?)
Right now, I'm torn between being thankful that they let me enjoy this past weekend, which was one of the best weekends I've had in a while, and angry that I splurged from my normal budget and spent $200 on clothes for a cocktail party and formal dinner...*sigh*